CME, EBS FX Numbers Lower
Posted by Colin Lambert. Last updated: May 6, 2023
The slowdown in FX activity in April was also felt at CME Group where both the FX futures and options franchise and the OTC EBS platform saw a sharp decline in average daily volume (ADV).
CME says that spot FX ADV on EBS was $52.9 billion, the lowest turnover since December 2021 on the platform. This represents a 22.2% decline from April and is down 20.2% year-on-year. EBS’ decline in ADV is the worst reported thus far by those platforms to publish data, however it is probably in keeping with the longer-term pattern of the platform doing well in volatile markets and less well at quieter times. This is a point made by Jeff Ward, global head of EBS, who observes, “In general, April volatilities in G3 pairs and CNH were all at or near 12-month low points during April, which not only impacts market volumes as a whole but can have a heightened impact on inter-bank centric-platforms and central limit order book volumes.”
It was not all bad news for EBS, the firm says it saw record ADV on EBS Direct forwards, with a 61% year-on-year increase, however it has yet to put a hard number on forwards ADV on the platform.
Meanwhile, CME saw a shallower decline year-on-year (it was down 35% from the roll month in March) of 6.6%. Volume in CME FX futures and options contracts was 757,000 per day, down from 811,000 in April 2022 – The Full FX estimates this to represent notional value of $74.2 billion per day.
Reinforcing Ward’s point, the CME Group Volatility Index (CVOL) shows that volatility expectations in April have come down from the historically elevated levels seen in the second half of 2022. The combined G5 CVOL averaged 8.8 in April; down 8% from the FX volatility in April 2022 and average year-to-date FX volatility of 9.5 is down 10% compared to FY 2022 (10.6).
CME’s FX Link reports notional ADV of $2.27 billion in April, this is a slightly decline from $2.6 billion in March (-12.7%), but is up 20.7% year-on-year and is the second highest ADV recorded in the last six months.